DatedStrippedOptionletAdapter Class Reference

Adapter class for turning a DatedStrippedOptionletBase object into an OptionletVolatilityStructure. More...

#include <qle/termstructures/datedstrippedoptionletadapter.hpp>

Inheritance diagram for DatedStrippedOptionletAdapter:

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Public Member Functions
	DatedStrippedOptionletAdapter (const QuantLib::ext::shared_ptr< DatedStrippedOptionletBase > &s, const bool flatExtrapolation)
TermStructure interface
Date	maxDate () const override
VolatilityTermStructure interface
Rate	minStrike () const override
Rate	maxStrike () const override
LazyObject interface
void	update () override
void	performCalculations () const override
VolatilityType	volatilityType () const override
Real	displacement () const override

OptionletVolatilityStructure interface
const QuantLib::ext::shared_ptr< DatedStrippedOptionletBase >	optionletStripper_
Size	nInterpolations_
vector< QuantLib::ext::shared_ptr< Interpolation > >	strikeInterpolations_
bool	flatExtrapolation_
QuantLib::ext::shared_ptr< SmileSection >	smileSectionImpl (Time optionTime) const override
Volatility	volatilityImpl (Time length, Rate strike) const override

Detailed Description

Adapter class for turning a DatedStrippedOptionletBase object into an OptionletVolatilityStructure.

Takes a DatedStrippedOptionletBase and converts it into an OptionletVolatilityStructure with a fixed reference date

    \ingroup termstructures

Definition at line 40 of file datedstrippedoptionletadapter.hpp.

Constructor & Destructor Documentation

DatedStrippedOptionletAdapter()

DatedStrippedOptionletAdapter	(	const QuantLib::ext::shared_ptr< DatedStrippedOptionletBase > &	s,
		const bool	flatExtrapolation
	)

Definition at line 33 of file datedstrippedoptionletadapter.cpp.

    : OptionletVolatilityStructure(s->referenceDate(), s->calendar(), s->businessDayConvention(), s->dayCounter()),
      optionletStripper_(s), nInterpolations_(s->optionletMaturities()), strikeInterpolations_(nInterpolations_),
      flatExtrapolation_(flatExtrapolation) {
    registerWith(optionletStripper_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 111 of file datedstrippedoptionletadapter.cpp.

{ return optionletStripper_->optionletFixingDates().back(); }

minStrike()

Rate minStrike ( ) const

override

Definition at line 95 of file datedstrippedoptionletadapter.cpp.

                                                    {
    Rate minStrike = optionletStripper_->optionletStrikes(0).front();
    for (Size i = 1; i < nInterpolations_; ++i) {
        minStrike = min(optionletStripper_->optionletStrikes(i).front(), minStrike);
    }
    return minStrike;
}

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maxStrike()

Rate maxStrike ( ) const

override

Definition at line 103 of file datedstrippedoptionletadapter.cpp.

                                                    {
    Rate maxStrike = optionletStripper_->optionletStrikes(0).back();
    for (Size i = 1; i < nInterpolations_; ++i) {
        maxStrike = max(optionletStripper_->optionletStrikes(i).back(), maxStrike);
    }
    return maxStrike;
}

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update()

void update ( )

override

Definition at line 76 of file datedstrippedoptionletadapter.hpp.

                                                  {
    TermStructure::update();
    LazyObject::update();
}

performCalculations()

void performCalculations ( ) const

override

Definition at line 82 of file datedstrippedoptionletadapter.cpp.

                                                              {
    for (Size i = 0; i < nInterpolations_; ++i) {
        const vector<Rate>& optionletStrikes = optionletStripper_->optionletStrikes(i);
        const vector<Volatility>& optionletVolatilities = optionletStripper_->optionletVolatilities(i);
        QuantLib::ext::shared_ptr<Interpolation> tmp = QuantLib::ext::make_shared<LinearInterpolation>(
            optionletStrikes.begin(), optionletStrikes.end(), optionletVolatilities.begin());
        if (flatExtrapolation_)
            strikeInterpolations_[i] = QuantLib::ext::make_shared<FlatExtrapolation>(tmp);
        else
            strikeInterpolations_[i] = tmp;
    }
}

volatilityType()

VolatilityType volatilityType ( ) const

override

Definition at line 113 of file datedstrippedoptionletadapter.cpp.

{ return optionletStripper_->volatilityType(); }

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displacement()

Real displacement ( ) const

override

Definition at line 115 of file datedstrippedoptionletadapter.cpp.

{ return optionletStripper_->displacement(); }

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smileSectionImpl()

QuantLib::ext::shared_ptr< SmileSection > smileSectionImpl ( Time  optionTime ) const

overrideprotected

Definition at line 41 of file datedstrippedoptionletadapter.cpp.

                                                                                                {
 
    // Arbitrarily choose the first row of strikes for the smile section independent variable
    // Generally a reasonable choice since:
    // 1) OptionletStripper1: all strike rows are the same
    // 2) OptionletStripper2: optionletStrikes(i) is a decreasing sequence
    // Still possibility of arbitrary externally provided strike rows where (0) does not include all
    vector<Rate> optionletStrikes = optionletStripper_->optionletStrikes(0);
    vector<Real> stdDevs(optionletStrikes.size());
    Real tEff = flatExtrapolation_ ? std::min(t, optionletStripper_->optionletFixingTimes().back()) : t;
    for (Size i = 0; i < optionletStrikes.size(); ++i) {
        stdDevs[i] = volatilityImpl(tEff, optionletStrikes[i]) * sqrt(tEff);
    }
 
    // Use a linear interpolated smile section.
    // TODO: possibly make this configurable?
    if (flatExtrapolation_)
        return QuantLib::ext::make_shared<InterpolatedSmileSection<LinearFlat> >(t, optionletStrikes, stdDevs, Null<Real>(),
                                                                         LinearFlat(), Actual365Fixed(),
                                                                         volatilityType(), displacement());
    else
        return QuantLib::ext::make_shared<InterpolatedSmileSection<Linear> >(
            t, optionletStrikes, stdDevs, Null<Real>(), Linear(), Actual365Fixed(), volatilityType(), displacement());
}

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volatilityImpl()

Volatility volatilityImpl ( Time  length, Rate  strike  ) const

overrideprotected

Definition at line 66 of file datedstrippedoptionletadapter.cpp.

                                                                                       {
    calculate();
 
    vector<Volatility> vol(nInterpolations_);
    for (Size i = 0; i < nInterpolations_; ++i)
        vol[i] = strikeInterpolations_[i]->operator()(strike, true);
 
    const vector<Time>& optionletTimes = optionletStripper_->optionletFixingTimes();
    QuantLib::ext::shared_ptr<LinearInterpolation> timeInterpolator =
        QuantLib::ext::make_shared<LinearInterpolation>(optionletTimes.begin(), optionletTimes.end(), vol.begin());
    Real lengthEff = flatExtrapolation_ ? std::max(std::min(length, optionletStripper_->optionletFixingTimes().back()),
                                                   optionletStripper_->optionletFixingTimes().front())
                                        : length;
    return timeInterpolator->operator()(lengthEff, true);
}

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Member Data Documentation

optionletStripper_

const QuantLib::ext::shared_ptr<DatedStrippedOptionletBase> optionletStripper_

private

Definition at line 70 of file datedstrippedoptionletadapter.hpp.

nInterpolations_

Size nInterpolations_

private

Definition at line 71 of file datedstrippedoptionletadapter.hpp.

strikeInterpolations_

vector<QuantLib::ext::shared_ptr<Interpolation> > strikeInterpolations_

mutableprivate

Definition at line 72 of file datedstrippedoptionletadapter.hpp.

flatExtrapolation_

bool flatExtrapolation_

private

Definition at line 73 of file datedstrippedoptionletadapter.hpp.